The performance of value-at-risk models in emerging markets: evidence from Kuwait stock exchange

Aktham Maghyereh and Sadeg J. Abul
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Sadeg J. Abul: Central Bank of Kuwait, Kuwait

Ekonomia, 2005, vol. 8, issue 2, 194-209

Abstract: This paper analyzes the performance of several volatility models to forecast daily Value-at-Risk (VaR) of the Kuwait Stock Exchange (KSE). Particularly, the paper models VaR for long and short trading positions by using a collection of ARCH models (GARCH, EGARCH, GJR and APARCH) based on three distributional assumptions (normal, Student-t, and skewed Student-t). The results indicate that the skewed Student-t distribution APARCH model provides the more accurate approach to measure VaR in the KSE.

JEL-codes: C53 G10 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ekn:ekonom:v:8:y:2005:i:2:p:194-209

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